Strategy Zoo / S1471

PriceMomentum_V1471

ARCHIVEDhybrid

crossoverentry = PriceMomentum_V1021 OR LongTermTrend_V1421

Fitness

0.5817

Generation

Complexity

Created

2026-10-13

Lineage

Parents (2)

PriceMomentum_V1021S1021 · gen 47ARCHIVEDcrossover

entry = PriceMomentum_V0817 OR PriceMomentum_V0690

LongTermTrend_V1421S1421 · gen 65ELITEcrossover

removed entry condition: (((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.0257) and ret_20d > 0.05 and cumret_252d > -0.1997)

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1471  [hybrid]
if flat and (((ret_20d > 0.05 and breakout_50 == 1) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184)) or ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.2%	117.9%	11.1%	31.5%
Total Return	256.1%	935.3%	48.7%	5544.5%
Sharpe	0.60	1.71	0.46	0.85
Sortino	0.76	2.05	0.54	1.03
Calmar	0.24	2.70	0.19	0.43
Volatility	38.5%	54.2%	42.9%	43.3%
Max DD	-72.9%	-43.7%	-58.2%	-72.9%
Win Rate	34.6%	50.0%	50.0%	42.3%
Avg Win	56.1%	92.2%	19.0%	56.7%
Avg Loss	-12.0%	-11.8%	-11.7%	-11.9%
Payoff	4.67	7.84	1.63	4.77
Expectancy	11.6%	40.2%	3.7%	17.1%
Profit Factor	2.47	7.84	1.63	3.50
Trades	26	10	16	52
Avg Holding Days	50.7	50.2	33.7	46.9
Turnover	6.6	6.7	8.8	7.1
Exposure	68.0%	65.1%	59.0%	65.2%

Growth of $100

PriceMomentum_V1471 vs TSLA Buy & Hold

PriceMomentum_V1471 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	-22.4%	-0.79	-46.9%	4
2017	15.7%	0.61	-34.5%	2
2018	-20.9%	-0.39	-43.8%	4
2019	16.2%	0.59	-39.0%	3
2020	842.7%	3.35	-33.7%	2
2021	64.5%	1.42	-24.7%	3
2022	-36.2%	-1.12	-36.1%	5

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	278	7.8%	0.18	44%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	40.7%	0.70	57%
hidden test	LOW VOLATILITY	443	52.4%	1.63	61%
hidden test	MEDIUM VOLATILITY	250	-59.4%	-1.44	57%
hidden test	NORMAL	816	1.6%	0.04	56%
hidden test	SIDEWAYS	298	-20.7%	-0.55	64%
hidden test	UPTREND	371	61.2%	1.30	67%
train	DOWNTREND	518	-22.6%	-0.80	49%
train	EXPENSIVE	311	87.1%	2.02	82%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	56.5%	1.16	57%
train	LOW VOLATILITY	745	28.5%	1.01	77%
train	MEDIUM VOLATILITY	568	-24.7%	-0.69	71%
train	NORMAL	1,601	-13.7%	-0.41	63%
train	SIDEWAYS	592	-21.7%	-0.64	57%
train	UPTREND	902	79.0%	1.73	86%
validation	DOWNTREND	125	38.9%	1.75	16%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	124.2%	1.79	55%
validation	LOW VOLATILITY	183	42.2%	1.34	80%
validation	MEDIUM VOLATILITY	315	96.2%	1.90	64%
validation	NORMAL	474	4.7%	0.13	51%
validation	SIDEWAYS	206	-14.2%	-0.35	57%
validation	UPTREND	425	160.3%	2.46	83%

Trades (full period)

53 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	9.43%	36	OPEN
2026-07-13	2026-07-24	$394.76	$313.03	-21.76%	10
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-07-31	2025-11-21	$308.27	$391.09	23.63%	81
2025-04-29	2025-07-02	$292.03	$315.65	4.98%	45
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2024-09-04	2024-10-22	$219.41	$217.97	3.71%	35
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
2024-04-15	2024-04-19	$161.48	$147.05	-12.53%	5
2024-02-26	2024-03-15	$199.40	$163.57	-15.52%	15
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-19	2023-08-03	$180.14	$259.32	43.37%	52
2023-04-10	2023-04-21	$184.51	$165.08	-12.10%	10
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
2022-09-21	2022-10-04	$300.80	$249.44	-21.64%	10
2022-07-14	2022-09-01	$238.31	$277.16	16.04%	36
2022-06-22	2022-07-05	$236.09	$233.07	-4.32%	9
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-14	2021-12-03	$205.90	$338.32	77.48%	122
2021-04-05	2021-05-11	$230.35	$205.73	-5.13%	27
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-12	2020-03-05	$16.39	$48.30	202.71%	121
2019-06-18	2019-08-15	$14.98	$14.38	-2.60%	42
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-02-28	2019-03-06	$21.33	$18.42	-12.31%	5
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
2018-10-04	2018-10-09	$18.79	$17.52	-15.18%	4
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-04-27	2018-07-16	$19.61	$20.67	11.48%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-07-19	2016-09-02	$15.02	$13.19	-11.44%	34
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-19	$15.02	$13.65	-11.96%	48
2015-09-21	2015-10-12	$17.61	$14.37	-15.49%	16
2015-04-08	2015-08-12	$13.84	$15.88	16.56%	89
2015-02-10	2015-03-09	$14.42	$12.73	-11.03%	19
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-26	$9.84	$14.20	49.18%	70
2013-03-26	2013-10-24	$2.52	$11.54	337.44%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58